August 2011
Beginner
208 pages
5h 12m
English
book
Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies
by Anatoly B. Schmidt
Content preview from Financial Markets and Trading: An Introduction to Market Microstructure and Trading StrategiesBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
Index
Adaptive equilibrium model, 87
Adaptive market hypothesis (AMH), 67
Adverse selection, 8, 22, 35, 40–42, 53, 55, 56, 62
Akaike information criterion (AIC), 130
Alternative trading system (ATS), 15, 17, 25
Amihud-Milgrom model, 29, 31, 33
Auction
Arbitrage
mortgage-backed securities (MBS), 120
Arbitrage Pricing Theory (APT), 120, 121
Autocorrelation function (ACF), 168
Autoregressive conditional heteroskedascisity (ARCH), 77
generalized (GARCH), 78, 79, 134
exponential (EGARCH), 79
integrated (IGARCH), 79
Autoregressive process (AR), 57, 62, 75, 134, 165–167
Autoregressive moving average model (ARMA), 124, 130, 165–167
integrated (ARIMA), 168
Bar, 105
Bertrand competition model, 38
Bid/ask spread, 6–9, 11, 14, 17, 26, 29, 32–34, 36, 37, 41–45, 49–52.
Binomial distribution, 160
Bollinger bands, 109
Bootstrap, 130, 133, 137, 140, 141
block, 134
reality check, 139
Black-Scholes theory
Broker, 3, 4, 7, 10, 11, 16–18, 20–25, 125
Brownian bridge, 127
Brownian motion, 32, 38, 42, 45, 59, 68, 79, 135
fractional, 73
Calmar ratio, 133
Capital Asset Pricing Model (CAPM), 32, 81, 82, 118, 121
Cauchy distribution, ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.